Windows Media Player - some files don't play

When I click on a video clip from a website a download pop up comes up saying
that it is saving the file to a temporary file.

WMP then comes up and the playlist is empty, it wont load or play the file
that was just downloaded.

Two questions -

Why does it download to a temporary file - I would rather it just started
playing the file - can I change something to get it to do this?

and

Where are those temporary files - I can't find them to try and drag and drop
them into the play list. Not sure if that would work anyway.

thanks